Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0958
Annualized Std Dev 0.2216
Annualized Sharpe (Rf=0%) 0.4322

Row

Daily Return Statistics

Close
Observations 3249.0000
NAs 1.0000
Minimum -0.1536
Quartile 1 -0.0046
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0062
Maximum 0.1502
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0140
Skewness -0.5972
Kurtosis 22.2349

Downside Risk

Close
Semi Deviation 0.0103
Gain Deviation 0.0101
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.5385
Historical VaR (95%) -0.0198
Historical ES (95%) -0.0340
Modified VaR (95%) -0.0185
Modified ES (95%) -0.0185
From Trough To Depth Length To Trough Recovery
2007-07-18 2009-03-06 2010-11-04 -0.5385 582 276 306
2020-02-21 2020-03-23 2021-02-24 -0.4618 255 22 233
2011-07-08 2011-10-03 2012-03-15 -0.2345 174 61 113
2015-06-22 2016-02-11 2016-07-18 -0.1992 271 163 108
2018-09-24 2018-12-24 2019-04-05 -0.1912 134 64 70

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA 0.3 0.4 0.6 -0.3 1.5 0.9 -1 0.2 -0.2 2.3
2008 1.4 1.1 -0.1 0.8 0.7 -0.6 1 0.2 0.1 1.7 2.2 5 14.1
2009 -4.5 -0.3 -0.2 2.4 0.6 0.8 0 -1.6 -1.9 -0.3 2 0 -3.1
2010 0.4 1.5 0.8 -0.8 1.3 -0.5 -0.1 2.6 0 -0.2 1.4 -0.1 6.4
2011 1.8 -0.4 0.7 0.5 -1.9 1.6 -1 -1.1 -1.4 -2.9 0.4 0.4 -3.3
2012 1.3 0.4 0.5 1.2 -3.3 2.3 -0.3 0.3 0.3 1.4 -0.2 1.1 5.1
2013 1.1 0.1 -0.8 -0.7 -0.8 0.5 1.9 -1.1 1.1 -0.1 -0.2 0.2 1.1
2014 -0.7 0 0.7 0.3 0.2 1 -0.4 0.4 -2.2 1.4 -1.5 -1 -1.8
2015 -0.4 0 -0.3 0.8 0.3 0.3 0.3 -2.8 0.3 -0.2 0.3 -0.7 -2.1
2016 0.4 1.4 0.5 -0.6 0.8 0.4 -0.2 0 1 -1 -0.5 -0.3 1.9
2017 -0.2 0.9 0 -0.1 1.2 0.5 0.5 0.3 0.3 0.1 -0.2 -0.2 3.2
2018 0.2 -0.8 1.6 -0.4 0.8 0.2 -0.4 0 0 2 0.6 1 5
2019 0.4 0.2 1.3 -0.7 -0.6 0.8 -1.3 0.2 -1.8 1.4 -1.7 0.2 -1.8
2020 -1.5 -2.3 -7 -3.2 0.9 -0.7 -0.3 0.3 0.4 0.1 1.2 0.6 -11.2
2021 1.1 2.3 -0.3 NA NA NA NA NA NA NA NA NA 3.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart